A Bayesian Edgeworth Expansion and its Applications
- 2009-10-19 (Mon.), 10:30 AM
- Auditorium, 2F, Tsai Yuan-Pei Memorial Hall
- Prof. Chiu-Hsing Weng
- Department of Statistics, National Chengchi University
Abstract
The Edgeworth expansion has existed for over a century, but there is no corresponding expansion in Bayesian statistics. This talk presents an Edgeworth type expansion for posterior distributions by using a version of Stein's Identity and properties of Hermite polynomials. We also show that such expansions can be used in validating convergence of MCMC results. Some examples are provided for illustration.
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